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BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT

MIKKO S. PAKKANEN

Department of Mathematics and Statistics, University of Helsinki, P.O. Box 68, FI-00014 Helsingin yliopisto, Finland

https://doi.org/10.1142/S0219024911006747Cited by:15 (Source: Crossref)

Abstract

In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary process has conditional full support, a distributional property that has two important implications. It ensures, firstly, that the process admits no free lunches under proportional transaction costs, and secondly, that it can be approximated pathwise (in the sup norm) by semimartingales that admit equivalent martingale measures.

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